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Product differentiation, the volume of trade and profits under Cournot and Bertrand duopoly

Collie, David R. - 2011

This paper analyses how product differentiation affects the volume of trade under duopoly using Shubik-Levitan demand functions rather than the Bowley demand functions used by Bernhofen (2001). The Shubik-Levitan demand functions have the advantage that an increase in product differentiation...

Persistent link: https://www.econbiz.de/10010288828

Risk measurement and management in a crisis-prone world

Wong, Woon K.; Copeland, Laurence - 2008

The current subprime crisis has prompted us to look again into the nature of risk at the tail of the distribution. In particular, we investigate the risk contribution of an asset, which has infrequent but huge losses, to a portfolio using two risk measures, namely Value-at-Risk (VaR) and...

Persistent link: https://www.econbiz.de/10010288831

A credit-banking explanation of the equity premium, term premium, and risk-free rate puzzles

Scheffel, Eric - 2008

Micro-founded de-centralized financial intermediation in a cash and costly-credit model(see Gillman and Kejak, 2008) results in a cost-distortion of returns implying a lower average nominal and real risk-free rate when compared to standard cash-in-advance RBC models. Failure of both short-run...

Persistent link: https://www.econbiz.de/10010288840

Consumption velocity in a cash costly-credit model

Scheffel, Eric - 2008

overshooting relative to deposits. But only by introducing adjustment costs to investment in addition to habit persistence does …

Persistent link: https://www.econbiz.de/10010288842

Money, interest rates and the real activity

Hong, Hao - 2011

This paper examines the effectiveness of monetary aggregates through various nominal interest rates by integrating the financial sector into the Cash-in-Advance (CIA) economy. The model assumes that there are two types of representative agents in the financial sector, which are: productive banks...

Persistent link: https://www.econbiz.de/10010288844

Can behavioral finance models account for historical asset prices?

ap Gwilym, Rhys - 2009

I construct a behavioral model of asset pricing in which agents choose whether to base their expectations on chartist or fundamental forecasts. I simulate the model in order to test its efficacy in explaining the moments and time series properties of the FTSE All-Share index, and find that the...

Persistent link: https://www.econbiz.de/10010288864

Real business cycles with a human capital investment sector and endogenous growth: Persistence, volatility and labor puzzles

Dang, Jing; Gillman, Max; Kejak, Michal - 2011

release leisure time and initially raises the relative price of human capital investment so as to favor it over goods … production. This enables a basic RBC model, modified by having the household sector produce human capital investment sector, to … succeed along related major dimensions of output, consumption, investment and labor, similar to the international approach of …

Persistent link: https://www.econbiz.de/10010288869

Panel attrition: How important is it to keep the same interviewer?

Lynn, Peter; Kaminska, Olena; Goldstein, Harvey - 2011

We assess whether the probability of a sample member participating at a particular wave of a panel survey is greater if the same interviewer is deployed as at the previous wave. Previous research on this topic mainly uses non-experimental data. Consequently, a) interviewer change is generally...

Persistent link: https://www.econbiz.de/10010288933

Equilibrium labour turnover, firm growth and unemployment

Coles, Melvyn G.; Mortensen, Dale T. - 2012

This paper identifies a data-consistent, equilibrium model of unemployment, wage dispersion, quit turnover and firm growth dynamics. In a separating equilibrium, more productive firms signal their type by paying strictly higher wages in every state of the market. Workers optimally quit to firms...

Persistent link: https://www.econbiz.de/10010288937

The work capability assessment and a "real world" test of incapacity: Considerations from, and for, quantitative research

Berthoud, Richard - 2011

The Work Capability Assessment governs entitlement to the Employment and Support Allowance - the social security benefit for people who are incapable of work. It is based on rules which decide entitlement according to the combination of impairments experienced by the claimant. This paper...

Persistent link: https://www.econbiz.de/10010288962